most university libraries have
Home of the Brave: A Film by Laurie Anderson (1986)
or
Laurie Anderson: Collected Videos (1990) (V)
on vhs...
check one out
it features guitar by Adrian Belew & a cameo by William S. Burroughs even.
so that's my musical choice;
my action pic choice of the too seldom seen is
Year of the Dragon (1985)
by Michael Cimino starring Mickey Rourke & the mesmerizing John Lone as one of film's best villians
or
The Friends of Eddie Coyle (1973) featuring the great Robert Mitchum in his twilight years
or
Dog Day Afternoon (1975) which showcases the best performance of Al Pacino's career.
My comedy picks are Woody Allen's
Manhattan Murder Mystery (1993)
&
Stakeout (1987).
The above two have a little of both action & comedy (& some drama too); if that is what you are really looking for, then it's tough to beat
Midnight Run (1988)
or
Woody Allen's
Crimes and Misdemeanors (1989).
for a dramatic thriller, Hitchcock's
Vertigo (1958) is a goodie.
for a drama about music watch
Bird (1988) (Charlie Parker) directed by Clint Eastwood & starring Forest Whitaker
or
Lady Sings the Blues (1972) about Billie Holiday; Sidney Furie's direction isn't spectacular, but Diana Ross & Richard Pryor are sublime.
&
for more true stories, it's
Frances (1982),
Chaplin (1992)
or Lynch's marvelous
The Elephant Man (1980).
I'm assuming in all of this of course that you've already seen most Kubrick, Coen Bros., early Scorcese, Lynch's Blue Velvet, Hitchcock's Psycho, Cimino's The Deer Hunter & Francis Ford Coppola's The Godfather and Apocalypse Now.